Backtesting: My trading strategy works too well

[Victory5]

I would take the advice to watch a real market for awhile to see if your system does what you think it does. I also would not pay any attention whatsoever to the people that say that profits like yours can't be done. There are plenty of people everywhere that just think they are right, they are aligned with the conventional wisdom, and it is just not possible for them to be wrong. There is nothing you can do with them or about them, just ignore them and do what you are going to do.

Will do.

Since I put down the rules on paper in early June, the signal has triggered twice. The first time yielded a modest loss, the 2nd time a significant gain.

I think the best thing to do atm is to continue to watch how things progress and to test back to 2004 using the reconstructed VXX data.

If all goes well, I plan on putting my money where my mouth is starting next year.

 

[Ghost_of_Blotto]

Put your money where your mouth is or shut up.
I clearly said I will not run away from a bet. We can make a bet that I cannot run up an account from $2500 to $250000 in one year. If I can you lose, if I cannot you win. But not for pocket money, only for substantial money. We are grown up boys, not children.

I wouldn't take your bet. Reminds me of Guys and Dolls:
"One of these days in your travels, a guy is going to show you a brand-new deck of cards on which the seal is not yet broken. Then this guy is going to offer to bet you that he can make the jack of spades jump out of this brand-new deck of cards and squirt cider in your ear. But, son, do not accept this bet, because as sure as you stand there, you're going to wind up with an ear full of cider."

But there are plenty of people who claim this is impossible due to their own pride. Especially people with "experience" in trading. They know everything which is possible or not possible. I think marketsurfer knows many such people. Maybe they'd collectively put up $50-100k to take your bet, knowing that it is a "sure thing" that you'll fail. A good hussle if you could be bothered setting it up. Maybe put marketsurfer on commission to solicit his famous CTA cronies who know what is impossible in trading?

Not worth the hassle of dealing with these people; but the outcome would be amusing for sure. Long term its best you keep your privacy. Perhaps you could do this in the account of a trusted nominee so that it is not traced back to you but you (he) can still win the bet?

Take care.

 

[maler]

VXX bleeds money because it is riding down the VIX curve,
and because locals can see the rolls comming from a mile away.
I tried shorting it a few years back but the cost to borrow the ETN wiped out any profits I made.
It looks like only the issuer can capitalize on its flawed design.
Some people were saying that the issuer does not even hedge their books.
They just wait for the exposure to melt away.
Weird that such a prospectus got past the SEC.